Derivative Instruments and Hedging Activities (Tables)

9 Months Ended

Sep. 30, 2021

Summary of Derivative Instruments [Abstract]

Schedule of Derivative Amounts

Certain information with respect to notional amounts and recorded gross fair values at September 30, 2021 and December 31, 2020, is summarized as follows:

	September 30, 2021						December 31, 2020
	Notional amount		Fair value				Notional amount		Fair value
(In millions)			Other assets		Other liabilities				Other assets		Other liabilities
Derivatives designated as hedging instruments:
Cash flow hedges of floating-rate assets:
Receive-fixed interest rate swaps	$	5,383	$	—	$	—	$	3,150	$	—	$	—
Fair value hedges:
Debt hedges: Receive-fixed interest rate swaps	500		—		—		500		—		—
Asset hedges: Pay-fixed interest rate swaps	383		10		—		383		3		—
Total derivatives designated as hedging instruments	6,266		10		—		4,033		3		—
Derivatives not designated as hedging instruments:
Customer-facing interest rate derivatives 1	6,334		235		25		5,986		390		2
Offsetting interest rate derivatives 2	6,334		28		241		5,986		3		409
Other interest rate derivatives	1,476		10		—		1,649		20		3
Foreign exchange derivatives	386		4		4		223		4		4
Total derivatives not designated as hedging instruments	14,530		277		270		13,844		417		418
Total derivatives	$	20,796	$	287	$	270	$	17,877	$	420	$	418

1 Customer-facing interest rate derivatives include a net CVA of $3 million and $18 million, reducing the fair value amount at September 30, 2021 and December 31, 2020, respectively. These adjustments are required to reflect both our nonperformance risk and that of the respective counterparty.

2 The fair value amounts for these derivatives do not include the settlement amounts for those trades that are centrally cleared. Once the settlement amounts with the clearing houses are included the derivative fair values would be the following:

	September 30, 2021				December 31, 2020
(In millions)	Other assets		Other liabilities		Other assets		Other liabilities
Offsetting interest rate derivatives	$	3	$	16	$	1	$	29

Schedule of Derivative Gains (Losses) Deferred in OCI or Recognized in Earnings

The amount of derivative gains (losses) from cash flow and fair value hedges that was deferred in OCI or recognized in earnings for the three and nine months ended September 30, 2021 and 2020 is shown in the schedules below.

	Amount of derivative gain (loss) recognized/reclassified
	Three Months Ended September 30, 2021
(In millions)	Effective portion of derivatives gain/(loss) deferred in OCI		Excluded components deferred in OCI (amortization approach)		Amount of gain/(loss) reclassified from OCI into income		Interest on fair value hedges		Hedge ineffectiveness/OCI reclass due to missed forecast
Cash flow hedges of floating-rate assets:1
Purchased interest rate floors	$	—	$	—	$	3	$	—	$	—
Interest rate swaps	4		—		13		—		—
Fair value hedges of liabilities:
Receive-fixed interest rate swaps	—		—		—		2		—
Basis amortization on terminated hedges 2, 3	—		—		—		3		—
Fair value hedges of assets:
Pay-fixed interest rate swaps	—		—		—		(1)		—
Basis amortization on terminated hedges 2, 3	—		—		—		—		—
Total derivatives designated as hedging instruments	$	4	$	—	$	16	$	4	$	—

	Amount of derivative gain (loss) recognized/reclassified
	Nine Months Ended September 30, 2021
(In millions)	Effective portion of derivatives gain/(loss) deferred in OCI		Excluded components deferred in OCI (amortization approach)		Amount of gain/(loss) reclassified from OCI into income		Interest on fair value hedges		Hedge ineffectiveness/OCI reclass due to missed forecast
Cash flow hedges of floating-rate assets: 1
Purchased interest rate floors	$	—	$	—	$	8	$	—	$	—
Interest rate swaps	(5)		—		38		—		—
Fair value hedges of liabilities:
Receive-fixed interest rate swaps	—		—		—		6		—
Basis amortization on terminated hedges 2, 3	—		—		—		9		—
Fair value hedges of assets:
Pay-fixed interest rate swaps	—		—		—		(2)		—
Basis amortization on terminated hedges 2, 3	—		—		—		—		—
Total derivatives designated as hedging instruments	$	(5)	$	—	$	46	$	13	$	—

	Amount of derivative gain (loss) recognized/reclassified
	Three Months Ended September 30, 2020
(In millions)	Effective portion of derivatives gain/(loss) deferred in OCI		Excluded components deferred in OCI (amortization approach)		Amount of gain/(loss) reclassified from OCI into income		Interest on fair value hedges		Hedge ineffectiveness/OCI reclass due to missed forecast
Cash flow hedges of floating-rate assets: 1
Purchased interest rate floors	$	—	$	—	$	3	$	—	$	—
Interest rate swaps	(1)		—		13		—		—
Fair value hedges of liabilities:
Receive-fixed interest rate swaps	—		—		—		1		—
Basis amortization on terminated hedges 2, 3	—		—		—		3		—
Fair value hedges of assets:
Pay-fixed interest rate swaps	—		—		—		—		—
Basis amortization on terminated hedges 2, 3	—		—		—		—		—
Total derivatives designated as hedging instruments	$	(1)	$	—	$	16	$	4	$	—

	Amount of derivative gain (loss) recognized/reclassified
	Nine Months Ended September 30, 2020
(In millions)	Effective portion of derivatives gain/(loss) deferred in OCI		Excluded components deferred in OCI (amortization approach)		Amount of gain/(loss) reclassified from OCI into income		Interest on fair value hedges		Hedge ineffectiveness/OCI reclass due to missed forecast
Cash flow hedges of floating-rate assets: 1
Purchased interest rate floors	$	—	$	—	$	8	$	—	$	—
Interest rate swaps	101		—		24		—		—
Fair value hedges of liabilities:
Receive-fixed interest rate swaps	—		—		—		4		—
Basis amortization on terminated hedges 2, 3	—		—		—		10		—
Fair value hedges of assets:
Pay-fixed interest rate swaps	—		—		—		—		—
Basis amortization on terminated hedges 2, 3	—		—		—		—		—
Total derivatives designated as hedging instruments	$	101	$	—	$	32	$	14	$	—

1 Amounts recognized in OCI and reclassified from AOCI represent the effective portion of the derivative gain (loss). For the 12 months following September 30, 2021, we estimate that $42 million will be reclassified from AOCI into interest income.

2 Adjustment to interest expense resulting from the amortization of the debt basis adjustment on fixed-rate debt previously hedged by terminated receive-fixed interest rate.

3 The cumulative unamortized basis adjustment from previously terminated or redesignated fair value hedges at September 30, 2021 is $2 million and $7 million of terminated fair value debt and asset hedges, respectively. The amortization of the cumulative unamortized basis adjustment from asset hedges is not shown in the schedules because it is not significant.

Schedule of Gains (Losses) Recognized From Derivatives Not Designated as Accounting Hedges

The amount of gains (losses) recognized from derivatives not designated as accounting hedges is summarized as follows:

	Other Noninterest Income/(Expense)
(In millions)	Three Months Ended September 30, 2021		Nine Months Ended September 30, 2021		Three Months Ended September 30, 2020		Nine Months Ended September 30, 2020
Derivatives not designated as hedging instruments:
Customer-facing interest rate derivatives	$	(5)	$	(100)	$	4	$	350
Offsetting interest rate derivatives	12		129		9		(343)
Other interest rate derivatives	3		(7)		3		14
Foreign exchange derivatives	6		17		4		16
Total derivatives not designated as hedging instruments	$	16	$	39	$	20	$	37

Schedule of Fair Value Hedges

The following schedule presents derivatives used in fair value hedge accounting relationships, as well as pre-tax gains/(losses) recorded on such derivatives and the related hedged items for the periods presented.

	Gain/(loss) recorded in income
	Three Months Ended September 30, 2021						Three Months Ended September 30, 2020
(In millions)	Derivatives 2		Hedged items		Total income statement impact		Derivatives 2		Hedged items		Total income statement impact
Debt: Receive-fixed interest rate swaps 1, 2	$	(4)	$	4	$	—	$	(3)	$	3	$	—
Assets: Pay-fixed interest rate swaps 1, 2	4		(4)		—		11		(11)		—

	Gain/(loss) recorded in income
	Nine Months Ended September 30, 2021						Nine Months Ended September 30, 2020
(In millions)	Derivatives 2		Hedged items		Total income statement impact		Derivatives 2		Hedged items		Total income statement impact
Debt: Receive-fixed interest rate swaps 1, 2	$	(27)	$	27	$	—	$	72	$	(72)	$	—
Assets: Pay-fixed interest rate swaps 1, 2	27		(27)		—		11		(11)		—

1 Consists of hedges of benchmark interest rate risk of fixed-rate long-term debt and fixed-rate AFS securities. Gains and losses were recorded in net interest expense or income consistent with the hedged items.

2 The income/expense for derivatives does not reflect interest income/expense from periodic accruals and payments to be consistent with the presentation of the gains/(losses) on the hedged items.

The following schedule provides information regarding basis adjustments for hedged items.

Schedule of Basis Adjustments for Hedged Items

	Par value of hedged assets/(liabilities)				Carrying amount of the hedged assets/(liabilities)1				Cumulative amount of fair value hedging adjustment included in the carrying amount of the hedged item
(In millions)	September 30, 2021		December 31, 2020		September 30, 2021		December 31, 2020		September 30, 2021		December 31, 2020
Long-term fixed-rate debt	$	(500)	$	(500)	$	(510)	$	(537)	$	(10)	$	(37)
Fixed-rate AFS securities	383		383		335		362		(48)		(21)

1 Carrying amounts displayed above exclude (1) issuance and purchase discounts or premiums, (2) unamortized issuance and acquisition costs, and (3) amounts related to terminated fair value hedges.